Browsing Modelos e métodos numéricos en enxeñaría e ciencias aplicadas (M2NICA) by Title
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XVA in a multi-currency setting with stochastic foreign exchange rates
(Elsevier B.V., 2023-05)[Abstract]: In the present article we address the modelling and the numerical computation of the total value adjustment for European options in a multi-currency setting when the foreign exchange rates between the different ...